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Continuous-time mean-variance portfolio selection problems : 연속시간 평균분산 포트폴리오 선택문제
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- Authors
- Advisor
- 최형인
- Issue Date
- 2004
- Publisher
- 서울대학교 대학원
- Keywords
- 평균-분산 포트폴리오 선택 ; Mean-variance portfolioselection ; 선형 이차 조절기 ; Linear-quadratic regulator ; 해밀턴-야코비-벨만 방정식 ; Hamilton-jacobi-bellmanequation ; 대역 최소 분산포트폴리오 ; Globally minimum variance portfolio ; 포트폴리오 경계 ; Portfolio frontier ; 샤프 비율 ; Sharpe ratio ; 뮤추얼 펀드 정리 ; Mutual fund theorem ; 몬테-카를로 모의 실험. ; Monte-carlo simulation.
- Description
- Thesis (doctoral)--서울대학교 대학원 :수리과학부,2004.
- Language
- English
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000053805
https://hdl.handle.net/10371/19866
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